cat file01.mpg file02.mpg file03.mpg > alltogether.mpg

Other notes:

mpegdemux -d -s 0xe0 source.mpg dst.m1v
mpegdemux -d -s 0xc0-0xdf -b audio_##.mpa source.mpg


mplex -f 8 -o result.mpg dst.m1v audio_c0.mpa

Also can use Project-X to demux